I'm an EU citizen, with a full British passport.
I currently live in Denmark. I have met, am in love with and wish to marry a russian who is in Denmark on a special work permit. He is here only on this basis.
I want to know what implications there are to him in relation to passports etc, if we married.

Currently he needs to apply and pay for a visa should whenever we want to go to Britain together. Ideally I would like him to be able to come with me to Britain as easily I do.

I do not intend to live back in Britain, but nor do I intend to live in Denmark forever.

Any advice would be gratefully received.

Any citizen with an ex-soviet passport, is required to get a visa in order to travel outside of the soviet republics. If you do not want him to always go through this hassle (it is SUCH a hassle, I always have to purchase a visa to go back to my homeland!) then he needs to apply for an EU passport. The passport will allow him to travel within any of the nations in the European Union.
Good luck!